Controlling operation of a trading algorithm based on operating condition rules

ABSTRACT

Methods, systems and computer-readable storage media are provided for controlling operation of a trading algorithm based on operating condition rules. Certain embodiments provide a method including determining, using a computing device, an approval of use of a trading algorithm by monitoring for an occurrence of an operating condition defined in an operating condition rule. The example method includes determining if the trading algorithm complies with the operating condition rule during the occurrence of the operating condition. The example method includes sending, using the computing device, a notification to a trading instrument to approve or not approve the use of the trading algorithm. The trading algorithm is to be used to implement a trading strategy.

BACKGROUND

An electronic trading system generally includes a trading device incommunication with an electronic exchange. The electronic exchangetransmits information about a market (e.g., market data) to the tradingdevice. Market data includes, for example, price data, market depthdata, last traded quantity data, and/or any data related to a market fora tradeable object. In some electronic trading systems, the tradingdevice sends messages, such as messages related to trade orders, to theelectronic exchange. In another example, a server device, on behalf ofthe trading device, sends the messages (e.g., trade orders) to theelectronic exchange. Upon receiving a trade order, the electronicexchange enters the trade order into an exchange order book and attemptsto match a quantity of the trade order with a quantity of one or morecontra-side trade orders.

Additionally, electronic trading systems may enable a user (for example,a trader) to design a trading algorithm. Trading algorithms generallyspecify that certain trading actions should be taken when certain marketconditions occur and/or are detected. Trading actions include, forexample, submitting, cancelling, or re-pricing a trade order.

BRIEF DESCRIPTION OF THE DRAWINGS

Certain embodiments are disclosed with reference to the followingdrawings.

FIG. 1 illustrates a block diagram of an example electronic tradingsystem in which certain embodiments may be employed.

FIG. 2 illustrates a block diagram of an example computing device thatmay be used to implement certain embodiments.

FIGS. 3A and 3B illustrate flow diagrams of example methods forcontrolling a deployment of a trading algorithm.

FIGS. 4A and 4B illustrate flow diagrams of example methods forcontrolling an execution of a trading algorithm.

FIGS. 5A and 5B illustrate flow diagrams of example methods forcontrolling a running of a trading algorithm.

FIG. 6A illustrates a flow diagram of an example method for monitoringfor an unfavorable condition.

FIG. 6B illustrates example data structures for use in the examplemethod for monitoring for an unfavorable condition of FIG. 6A.

FIGS. 7A and 7B are block diagrams of example implementations of thedeployment and execution manager of FIG. 1.

FIGS. 8A and 8B illustrate example timing diagrams for controlling adeployment of a trading algorithm.

FIGS. 9A and 9B illustrate example timing diagrams for controlling anexecution of a trading algorithm.

FIGS. 10A and 10B illustrate example timing diagrams for controlling arunning of a trading algorithm.

Certain embodiments will be better understood when read in conjunctionwith the provided drawings, which illustrate examples. It should beunderstood, however, that the embodiments are not limited to thearrangements and instrumentality shown in the attached drawings.

DESCRIPTION

I. Brief Description of Certain Embodiments

Certain embodiments relate to systems and methods for automated controlof a tradeable universe.

Electronic trading applications may enable a user (for example, atrader) to design a trading algorithm. Trading algorithms generallyspecify that certain trading actions should be taken when certain marketconditions occur and/or are detected. Trading actions include, but arenot limited to, submitting, cancelling, or re-pricing a trade order.Once designed, a trading algorithm may be automatically (e.g., withlittle or no human interaction) executed.

In addition to trading single items, a trading algorithm may trade morethan one item according to a trading strategy. A trading strategy maydefine a relationship between two or more items to be traded. Each itemin a trading strategy may be referred to as a leg of the tradingstrategy. Items in a trading strategy may also be referred to astradeable objects. Once defined, items in the trading strategy may thenbe traded together according to the defined relationship. One commontrading strategy is a spread. Trading according to a spread may also bereferred to as spread trading. Trading algorithms utilizing spreadtrading may attempt to capitalize on changes or movements in therelationships between the items in the trading strategy, for example.

However, a user designing and/or facilitating use of a trading algorithmmay not be aware of certain unfavorable conditions that may adverselyaffect orders entered into or orders to be entered into by the tradingalgorithm. For example, unfavorable market conditions may include poormarket liquidity, high market volatility, high volatility of acorrelated market, etc. Other unfavorable conditions may include, forexample, high local central processing unit (“CPU”) usage, high CPUusage on a server, high exchange matching engine turnaround time, highorder routing turnaround time, high memory usage, etc. Additionally oralternatively, a user may not be aware of certain favorable conditions,such as good market liquidity, low market volatility, low volatility ofa correlated market, etc.

Certain embodiments relate to controlling operation of a tradingalgorithm based on (e.g., by applying) operating condition rules.Operating condition rules may be specified by a definition whichincludes logic expressions and/or parameters that describe certainfavorable and/or unfavorable conditions. Favorable and/or unfavorableconditions may be, for example, favorable or unfavorable deploymentconditions, execution conditions, etc. Certain conditions may be checkedagainst or otherwise compared to these operating condition rules beforeor while the trading algorithm is allowed to operate at a trading ortrading-related instrument operating at a trading or trading-relatedinstrument. A condition may include, for example, a current marketcondition, a state of a trading algorithm, a trader, a time of day, etc.A trading instrument may include, for example, a trading device, analgorithm server, or an exchange. For example, the trading algorithm maybe checked against an operating condition rule before deployment of thetrading algorithm to an algorithm server, at execution of the tradingalgorithm at the algorithm server, and/or while the trading algorithm isrunning and/or performing trading actions at the exchange.

Certain embodiments may allow a trading algorithm to operate, mayprevent a trading algorithm from deploying to an algorithm server, mayblock execution of the trading algorithm at the algorithm server, and/ormay limit execution of the trading algorithm at an exchange based on oneor more operating condition rules, for example. For example, certainembodiments may prevent a trading algorithm from operating until anoccurrence of a favorable market condition as defined in an operatingcondition rule. In another example, a trading algorithm may be preventedfrom operating during an occurrence of an unfavorable market conditionas defined in an operating condition rule.

For example, certain embodiments may prevent all or a part of a tradingalgorithm utilizing spread trading from operating when the tradingalgorithm may submit orders into a highly liquid market on one leg and ahighly illiquid market on another leg at the same time. For example, ifthe trading algorithm attempts to enter a trade for 100 contracts in oneliquid Eurodollar Futures market (for example, GEZ11) as one leg of atrading strategy, this liquid market could accept the specified quantityof orders and the trades would be filled. However, if the tradingalgorithm attempts to hedge this risk with a position of 100 orders inanother less liquid Eurodollar Futures market (for example, GEZ15) asanother leg of the trading strategy, this hedging order may not be fullyfilled as the GEZ15 market in the example is not liquid enough to accept100 orders. In this example, certain embodiments may prevent the tradingalgorithm from submitting any orders based on an operating conditionrule specifying that orders are not to be entered into an illiquidmarket.

If, for example, the trading algorithm attempts to enter a lowerquantity of tradeable objects, such as 10 tradeable objects in each leg,certain embodiments may allow the trading algorithm to begin submittingorders based on the operating condition rule(s). However, if eithermarket becomes illiquid after orders are submitted, certain embodimentsmay prevent the trading algorithm from submitting new orders, unless thenew orders are to be entered to offset already established positions.

Certain embodiments provide systems, methods, and apparatus forcontrolling operation of a trading algorithm based on operatingcondition rules.

Certain embodiments provide a method including determining, using acomputing device, an approval of use of a trading algorithm bymonitoring for an occurrence of an operating condition defined in anoperating condition rule. The example method includes determining if thetrading algorithm complies with the operating condition rule during theoccurrence of the operating condition. The example method includessending, using the computing device, a notification to a tradinginstrument to approve or not approve the use of the trading algorithm.The trading algorithm is to be used to implement a trading strategy.

Certain embodiments provide a system including a deployment andexecution manager to determine an approval of use of a trading algorithmby monitoring for an occurrence of an operating condition defined in anoperating condition rule. The example deployment and execution managerdetermines if the trading algorithm complies with the operatingcondition rule during the occurrence of the operating condition. Theexample deployment and execution manager sends a notification to atrading instrument to approve or not approve the use of the tradingalgorithm. The trading algorithm is to be used to implement a tradingstrategy.

Certain embodiments provide a tangible computer-readable storage mediumincluding instructions that, when executed, cause a computing device toat least determine an approval of use of a trading algorithm bymonitoring for an occurrence of an operating condition defined in anoperating condition rule. The example tangible computer-readable storagemedium includes instructions that, when executed, cause the computingdevice to determine if the trading algorithm complies with the operatingcondition rule during the occurrence of the operating condition. Theexample tangible computer-readable storage medium includes instructionsthat, when executed, cause the computing device to send a notificationto a trading instrument to approve or not approve the use of the tradingalgorithm. The trading algorithm is to be used to implement a tradingstrategy.

Although the description discloses embodiments including, among othercomponents, software executed on hardware, it should be noted that theembodiments are merely illustrative and should not be considered aslimiting. For example, it is contemplated that any or all of thesehardware and software components may be embodied exclusively inhardware, exclusively in software, exclusively in firmware, or in anycombination of hardware, software, and/or firmware. Accordingly, certainembodiments may be implemented in other ways.

II. Example Electronic Trading System

FIG. 1 illustrates a block diagram of an example electronic tradingsystem 100 in which certain embodiments may be employed. The system 100includes a trading device 102, an algorithm server 104, a gateway 106,an electronic exchange 108, and a deployment and execution manager 110.The trading device 102 is in communication with the algorithm server104, the gateway 106, and the deployment and execution manager 110. Thegateway 106 is in communication with the exchange 108. Additionally, thealgorithm server is in communication with the gateway 106 and thedeployment and execution manager 110. As used herein, the phrase “incommunication with” may include in direct communication and/or indirectcommunication through one or more intermediary components. The exemplaryelectronic trading system 100 depicted in FIG. 1 may be in communicationwith additional components, subsystems, and elements to provideadditional functionality and capabilities without departing from theteaching and disclosure provided herein.

In operation, the trading device 102 may send orders to buy or selltradeable objects at the exchange 108. For example, a user may utilizethe trading device 102 to send the orders. The orders are sent throughthe algorithm server 104 and/or the gateway 106 to the exchange 108. Inaddition, market data is sent from the exchange 108 through the gateway106 and/or the algorithm server 104 to the trading device 102. The usermay also utilize the trading device 102 to monitor this market dataand/or base a decision to send an order for a tradeable object on themarket data.

A tradeable object is anything which may be traded with a quantityand/or a price. For example, financial products, including stocks,options, bonds, futures, currency, warrants, funds derivatives,securities, commodities, swaps, interest rate products, index basedproducts, traded events, goods, and collections and/or combinations ofthese, may be tradeable objects. A tradeable object may be “real” or“synthetic.” A real tradeable object includes products that are listedand/or administered by an exchange. A synthetic tradeable objectincludes products that are defined by the user. For example, a synthetictradeable object may include a combination of real (or other synthetic)products such as a synthetic spread created by a user utilizing atrading device 102. There may be a real tradeable object thatcorresponds and/or is similar to a synthetic trading object.

An order message is a message that includes a trade order. A trade ordermay be, for example, a command to place an order to buy or sell atradeable object, a command to initiate managing orders according to adefined trading strategy, a command to change or cancel a previouslysubmitted order (for example, modify a working order), an instruction toan electronic exchange relating to an order, or a combination thereof.

The trading device 102 may include one or more electronic computingplatforms such as a hand-held device, laptop, desktop computer,workstation with a single or multi-core processor, server with multipleprocessors, and/or cluster of computers, for example. For example, whilelogically represented as a single device, trading device 102 may includea trading terminal in communication with a server, where collectivelythe trading terminal and the server are the trading device 102. Thetrading terminal may provide a trading screen to a user and maycommunicate commands to the server for further processing of the user'sinputs through the trading screen, such as placing orders. As anotherexample, the trading device 110 may include a single or multi-coreprocessor in communication with a memory or other storage mediumconfigured to accessibly store one or more computer programs,applications, libraries, computer readable instructions, and the like,for execution by the processor.

As used herein, the phrases “configured to” and “adapted to” encompassthat an element, structure, or device has been modified, arranged,changed, or varied to perform a specific function or for a specificpurpose.

The trading device 102 is generally owned, operated, controlled,programmed by, configured by, or otherwise used by a user. As usedherein, the phrase “user” may include, but is not limited to, a human(for example, a trader) or an electronic trading device (for example, analgorithmic trading system). One or more users may be involved in theownership, operation, control, programming, configuration, or other use,for example.

The trading device 102 may include one or more trading applications. Asused herein, a trading application is an application that facilitates orimproves electronic trading. A trading application provides one or moreelectronic trading tools. The trading application(s) may, for example,process market data by arranging and displaying the market data intrading and charting windows. The market data may be received fromexchange 108, for example. As another example, the market data may bereceived from a simulation environment that provides historical dataand/or simulates an exchange but does not effectuate real-world trades.This processing may be based on user preferences, for example. Thetrading application(s) may include an automated trading tool such as anautomated spread trading tool, for example. The one or more tradingapplications may be distributed across one or more of the computingdevices of the trading device 102. For example, certain components of atrading application may be executed on a trading workstation and othercomponents of the trading application may be executed on a server incommunication with the workstation.

The trading device 102 may include an electronic trading workstation, aportable trading device, an algorithmic trading system such as a “blackbox” or “grey box” system, an embedded trading system, and/or anautomated trading tool, for example. For example, the trading device 102may be a computing system running a copy of X_TRADER®, an electronictrading platform provided by Trading Technologies International, Inc. ofChicago, Ill. As another example, the trading device 102 may be acomputing device running an automated trading tool such as Autospreader®and/or Autotrader™, also provided by Trading Technologies International,Inc.

As another example, the trading device 102 may include a tradingapplication which algorithmically processes market data and includes auser interface for manual placement of orders based on the algorithmicprocessing or to manipulate orders that were placed automatically. Analgorithmic trading application is a trading application which includesan automatically processed algorithm to perform certain actions. Thatis, the trading application includes an automated series of instructionsto perform defined action(s). The actions may include processing marketdata in a particular way, placing an order, modifying an existing order,deleting an order, refraining from placing an order, selecting whichtradeable object(s) to act on, determining a price to place or modify anorder at, determining a quantity to place an order at or modify an orderto be, determining whether an order should be to buy or sell, anddelaying action for a period of time, for example.

As used herein, a trading algorithm (also referred to as an algorithm)is specified by a definition which includes logic expressions andparameters that describe the trading algorithm to be used in trading.Logic expressions specify the relationship between parameters and maygenerate more parameters. Parameters may include, for example, inputsinto the logic expressions of the trading algorithm. The definition of atrading algorithm may be, at least in part, specified by the algorithmictrading application. For example, an algorithmic trading application mayallow a user to only specify parameters to be used by pre-defined logicexpressions. As another example, an algorithmic trading application mayallow a user to specify some or all of the logic expressions and some orall of the parameters. A trading algorithm where the logic expressionsare specified by a user is a user-defined trading algorithm.

Trading applications may include computer readable instructions that arestored in a computer readable medium of the trading device 102 andexecutable by a processor. In certain embodiments, one or morecomponents of a trading application may be stored on a tradingworkstation and other components of the trading application may bestored on a server in communication with the workstation. In certainembodiments, one or more components of a trading application may beloaded into the computer readable medium of the trading device 102 fromanother computer readable medium. For example, the trading application(or updates to the trading application) may be stored by a manufacturer,developer, or publisher on one or more compact discs (“CD”s), digitalvideo discs (“DVD”s), Blu-Rays, flash drives, thumbdrives, and/or otherportable storage devices which are then provided to someone responsiblefor loading the application onto the trading device 102 or to a serverfrom which the trading device 102 retrieves the trading application. Asanother example, the trading device 102 may receive the tradingapplication (or updates to the trading application) from a server, forexample, via the Internet or an internal network. The trading device 102may receive the trading application or updates when requested by thetrading device 102 (“pull distribution”) and/or un-requested by thetrading device 102 (“push distribution”).

The trading device 102 is adapted to send orders for a tradeable object.The orders may be sent in one or more messages or data packets orthrough a shared memory system, for example. The trading device 102 mayalso be adapted to cancel orders, change orders, and/or query anexchange, for example. As another example, the trading device 102 may beadapted to send orders to a simulated exchange in a simulationenvironment that does not effectuate real-world trades.

The orders sent by the trading device 102 may be sent at the request ofa user or automatically, for example. For example, a trader may utilizean electronic trading workstation to place an order for a particulartradeable object, manually providing one or more parameters for theorder, such as an order price and/or quantity. As another example, anautomated trading tool may calculate one or more parameters for an orderand automatically send the order. In some instances, an automatedtrading tool may prepare the order to be sent but not actually send itwithout confirmation from the user.

In certain embodiments, the trading device 102 includes a userinterface. The user interface may include one or more display devicesfor presenting a text-based and/or graphical interface of a tradingapplication to a user, for example. For example, the display devices mayinclude computer monitors, hand-held device displays, projectors, and/ortelevisions. The user interface may be used to specify or reviewparameters for an order using a trading application. The user interfacemay include one or more input devices for receiving input, for example.For example, the input devices may include a keyboard, trackball, two orthree-button mouse, and/or touch screen. The user interface may includeother devices for interacting with a user. For example, information maybe audibly provided to a user through a speaker and/or received througha microphone.

In certain embodiments, a trading application includes one or moretrading screens to enable a user to interact with one or more markets.Trading screens may enable users to obtain and view market information,set order entry parameters, enter and cancel orders, and/or monitorpositions while implementing various trading strategies, for example.For example, a trading application may receive information (such as bidprices, bid quantities, ask prices, ask quantities, prices andquantities for past sales, and/or other market related information) fromthe exchange 108, some or all of which, in turn, may be displayed with auser interface of trading device 102. Based on the received information,the trading screen may display a range of price levels and correspondingbid and ask quantities for the price levels in regard to tradeableobjects. In order to provide the user with pertinent tradinginformation, the trading screen may display a range of prices (and thecorresponding bid and ask quantities) around the inside market. Theinformation may be continuously or regularly provided to the tradingapplication, which allows the trading application to update the tradingscreen with current market information. A user may use the tradingscreen to place buy and sell orders for tradeable objects or tootherwise trade the tradeable objects based on the displayedinformation, for example.

Trading screens may display one or more trading tools. Trading tools areelectronic tools that allow, assist with, and/or facilitate electronictrading. Exemplary trading tools include, but are not be limited to,charts, trading ladders, order entry tools, automated trading tools,automated spreading tools, risk management tools, order parameter tools,order entry systems, market grids, fill windows, and market orderwindows, combinations thereof, other electronic tools used for trading,preparing to trade, managing trades, or analyzing the market.

In certain embodiments, the orders from the trading device 102 are sentto the exchange 108 through the algorithm server 104 and/or the gateway106. The trading device 102 may communicate with the algorithm server104 and/or the gateway 106 using a local area network, a wide areanetwork, a wireless network, a virtual private network, a T-carrier T1line, a T-carrier T3 line, an integrated services digital network(“ISDN”) line, a point-of-presence, the Internet, and/or a shared memorysystem, for example.

In certain embodiments, the algorithm server 104, among other things, isconfigured to execute programming code corresponding to tradingalgorithms received from the trading device 102. The example algorithmserver 104 is, but need not be, collocated with the exchange 108 (forexample, placed at a physical location proximate or substantiallyproximate to the exchange 108).

The algorithm server 104 is configured to receive a trading algorithm,programming code corresponding to the trading algorithm, one or moreidentifiers corresponding to the programming code and/or tradingalgorithm, or any combination thereof. Such information may be stored tothe algorithm server 104. For example, the algorithm server 104 may haveone or more processors and one or more processor-readable media forstoring such information.

In certain embodiments, the gateway 106 facilitates communicationbetween the trading device 102 and/or the algorithm server 104 and theexchange 108. For example, the gateway 106 may receive orders from thetrading device 102 and/or the algorithm server 104 and transmit theorders to the exchange 108. As another example, the gateway 106 mayreceive market data from the exchange 108 and transmit the market datato the algorithm server 104 and/or the trading device 102.

In certain embodiments, the gateway 106 performs processing on datacommunicated between the trading device 102 and/or the algorithm server104 and the exchange 108. For example, the gateway 106 may process anorder received from the trading device 102 and/or the algorithm server104 into a data format understood by the exchange 108. Similarly, thegateway 106 may transform market data in an exchange-specific formatreceived from the exchange 108 into a format understood by the algorithmserver 104 and/or the trading device 102. The processing of the gateway106 may also include tracking orders from the trading device 102 and/orthe algorithm server 104 and updating the status of the order based onfill confirmations received from the exchange 108, for example. Asanother example, the gateway 106 may coalesce market data from theexchange 108 and provide it to the algorithm server 104 and/or thetrading device 102.

In certain embodiments, the gateway 106 provides services other thanprocessing data communicated between the trading device 102, thealgorithm server 104, and/or the exchange 108. For example, the gateway106 may provide risk processing.

The gateway 106 may include one or more electronic computing platformssuch as a hand-held device, laptop, desktop computer, workstation with asingle or multi-core processor, server with multiple processors, and/orcluster of computers, for example.

The gateway 106 may include one or more gateway applications. Thegateway application(s) may, for example, handle order processing andmarket data processing. This processing may be based on userpreferences, for example.

In certain embodiments, the gateway 106 communicates with the exchange108 using a local area network, a wide area network, a virtual privatenetwork, a T1 line, a T3 line, an ISDN line, a point-of-presence, theInternet, and/or a shared memory system, for example.

In general, the exchange 108 may be owned, operated, controlled, and/orused by an exchange entity. Example exchange entities include the CMEGroup, the London International Financial Futures and Options Exchange(“LIFFE”), the IntercontinentalExchange (“ICE”), and NYSE Eurexnext. Theexchange 108 may include an electronic matching system, such as acomputer, server, or other computing device, that is adapted to allowtradeable objects, for example, offered for trading by the exchange, tobe bought and sold. The electronic matching system may include amatching engine, for example. The exchange 108 may include separateentities, some which list and/or administer tradeable objects and otherswhich receive and match orders, for example. The exchange 108 mayinclude an electronic communication network (“ECN”), for example.

The exchange 108 is adapted to match orders to buy and sell tradeableobjects. The tradeable objects may be listed for trading by the exchange108. The orders may include orders received from the trading device 102,for example. Orders may be received from the trading device 102 throughthe algorithm server 104 and/or the gateway 106, for example. Inaddition, the orders may be received from other devices in communicationwith the exchange 108. That is, typically the exchange 108 is incommunication with a variety of other trading devices (which may besimilar to trading device 102) that also provide orders to be matched.

The exchange 108 is adapted to provide market data. The market data maybe provided in one or more messages or data packets or through a sharedmemory system, for example. The market data may be provided to thetrading device 102, for example. The market data may be provided to thetrading device 102 through the gateway 106 and/or the algorithm server104, for example. The market data may include data that represents aninside market, for example. The inside market is a lowest sell price(also referred to as a “best ask”) and a highest buy price (alsoreferred to as a “best bid”) at a particular point in time (since theinside market may vary over time). The market data may also includemarket depth. Market depth refers to quantities available at the insidemarket and may also refer to quantities available at other prices awayfrom the inside market. Thus, the inside market may be considered afirst level of market depth. One tick away from the inside market may beconsidered a second level of market depth, for example. In certainembodiments, market depth is provided for all price levels. In certainembodiments, market depth is provided for less than all price levels.For example, market depth may be provided only for the first five pricelevels on both sides of the inside market. As another example, marketdepth may be provided for the first ten price levels at which quantityis available in the market. Due to the quantity available, there may be“gaps” in market depth. The market data may also include informationsuch as the last traded price (“LTP”), the last traded quantity (“LTQ”),and/or order fill information.

In certain embodiments, the deployment and execution manager 110communicates with the trading device 102, the algorithm server 104,and/or the gateway 106 to control the deployment and/or execution oftrading algorithms using operating condition rules. Operating conditionrules, such as deployment and/or execution rules, may be used to controlthe deployment and/or execution of trading algorithms during anexistence of certain favorable and/or unfavorable conditions.Unfavorable conditions may include, for example, market conditions,processor conditions, system state conditions, etc. For example,unfavorable market conditions may include poor market liquidity, highmarket volatility, high volatility of a correlated market (correlatedmarkets may be, for example, the E-Mini S&P (“ES”) futures market andthe Nasdaq E-Mini (“NQ”) futures market), etc. Unfavorable processor andsystem state conditions may include, for example, high CPU usage on adevice and/or server, high exchange matching engine turnaround times,high order routing turnaround times, high memory usage on a device, etc.Favorable conditions may include, for example, good market liquidity,low market volatility, low volatility of a correlated market, etc.

Controlling the deployment and/or execution of trading algorithms may bebeneficial because it allows users to control the deployment and/orexecution of trading algorithms. For example, controlling the deploymentof trading algorithms may be beneficial because it allows users tocheck, change, or delete a trading algorithm early in the process oflaunching a trading algorithm. In certain embodiments, the deploymentand execution manager's decision not to deploy or deploy a tradingalgorithm may be communicated to someone responsible for managing thetrading algorithm (e.g., a trader, a risk manager, a supervisor, or acombination thereof). For example, when the deployment and executionmanager prevents a trading algorithm from deploying, this may be anindication to a risk manager that the trading algorithm poses certainrisks.

In certain embodiments, the deployment and execution manager 110receives operating condition rules, such as deployment and/or executionrules, from the trading device 102. Deployment and/or execution rulesmay be used to control the deployment and/or execution of tradingalgorithms during an existence of certain favorable and/or unfavorableconditions. Unfavorable conditions may include, for example, marketconditions, processor conditions, system state conditions, etc.Favorable conditions may include, for example, good market liquidity,low market volatility, low volatility of a correlated market, etc.

A user may create and/or input deployment and/or execution rules at thetrading device 102 via a user interface, for example. In anotherexample, a user may create and/or input deployment and/or executionrules at the deployment and execution manager 110 via a user interface,for example. The deployment and/or execution rules may be implemented bya user, for example, a trader, risk manager, etc., to control thedeployment and/or execution of trading algorithms. In another example,the deployment and/or execution rules and/or the deployment andexecution manager 110 may be implemented by the exchange 108 to controlthe execution of trading algorithms. For example, the exchange 108 maybe configured to disable and/or block trading algorithms from enteringlarge orders in thin markets. In another example, the deployment and/orexecution rules may be implemented automatically by the trading device102 or a risk manager device.

The deployment and execution manager 110 uses the operating conditionrules to check and/or monitor for an occurrence of a favorable and/orunfavorable market condition defined by the operating condition rules.Operating condition rules, such as deployment and/or execution rules,may be specified by a definition which includes logic expressions and/orparameters that describe certain favorable and/or unfavorableconditions. The deployment and execution manager 110 applies thedeployment and/or execution rules to a trading algorithm to determine ifthe trading algorithm should be allowed to deploy, allowed to execute,and/or allowed to continue running during the occurrence of thefavorable and/or unfavorable condition. The deployment and executionmanager 110 may control the deployment and/or execution of all tradingalgorithms, or select trading algorithms. For example, the deploymentand execution manager 110 may control only those trading algorithms usedby new traders. In such examples, operating condition rules may beexperience- and/or role-based. For example, an operating condition rulemay prevent a new trader from deploying a trading algorithm during anunfavorable market condition. The deployment and/or execution manager110 may control, for example, only new trading algorithms. For example,an operating condition rule may prevent a trade algorithm from deployingif it has not been previously executed by a user.

In certain embodiments, the deployment and execution manager 110receives a deployment request from the trading device 102 to deploy atrading algorithm to the algorithm server 104. The deployment andexecution manager 110 checks for a favorable and/or unfavorabledeployment condition as defined by the received deployment rule. Basedon the deployment condition as applied to the trading algorithm, thedeployment and execution manager 110 approves or denies the deploymentrequest. For example, if an unfavorable deployment condition has notoccurred, the deployment request may be approved. Where there is anoccurrence of the unfavorable deployment condition, if any order thatmay be entered by the trading algorithm is undesirable, the deploymentrequest may be denied. Where the deployment request is approved, thetrading algorithm is allowed to deploy to the algorithm server 104.Where the deployment request is denied, the trading algorithm is blockedand/or prevented from deploying to the algorithm server 104. To blockand/or prevent the trading algorithm from deploying, the deployment andexecution manager 110 may send a notification to the trading device 102.The notification may include, for example, setting a flag to disabledeployment of the trading algorithm at the trading device 102.Additionally, the trading device 102 may display whether the tradingalgorithm was allowed to or prevented from deploying and/or why thetrading algorithm was allowed to or prevented from deploying.

In certain embodiments, the deployment and execution manager 110monitors for a deployment condition, as defined by the deployment rule,without receiving a deployment request and/or prior to receiving adeployment request. For example, the deployment and execution manager110 may continuously, periodically, or aperiodically check for thedeployment condition without receiving a deployment request and/or priorto receiving a deployment request. Based on the deployment condition asapplied to the trading algorithm, the deployment and execution manager110 allows the trading algorithm to deploy to the algorithm server 104or blocks the deployment to the algorithm server 104. Monitoring for anoccurrence of a favorable and/or unfavorable deployment conditionwithout receiving a deployment request and/or prior to receiving adeployment request enables the deployment and execution manager 110 tomore quickly allow and/or disable access to the trading algorithm.

In certain embodiments, the deployment and execution manager 110receives an execution request from the algorithm server 104 to execute atrading algorithm. Executing a trading algorithm includes, for example,monitoring market conditions and sending orders to the exchange 108 whencertain market conditions are satisfied. The deployment and executionmanager 110 checks for a favorable and/or unfavorable executioncondition as defined by the received execution rule. Based on theexecution condition as applied to the trading algorithm, the deploymentand execution manager 110 approves or denies the execution request. Forexample, if there is not an occurrence of an unfavorable executioncondition, the execution request may be approved. Where there is anoccurrence of the unfavorable execution condition, if any order that maybe entered by the trading algorithm is undesirable, the executionrequest may be denied. Where the execution request is approved, thetrading algorithm is allowed to execute at the algorithm server 104.Where the execution request is denied, the trading algorithm may beblocked and/or prevented from executing at the algorithm server 104. Toblock and/or prevent the trading algorithm from executing, thedeployment and execution manager 110 may send a notification to thealgorithm server 104. The notification may include, for example, settinga flag to disable execution of the trading algorithm at the algorithmserver 104. Additionally, the trading device 102 may display whether thetrading algorithm was allowed to or prevented from executing and/or whythe trading algorithm was allowed to or prevented from executing.

In certain embodiments, the deployment and execution manager 110monitors for an execution condition as defined by the execution rulewithout receiving an execution request and/or prior to receiving anexecution request. For example, the deployment and execution manager 110may continuously, periodically, or aperiodically check for the executioncondition without receiving an execution request and/or prior toreceiving an execution request. Based on the execution condition asapplied to the trading algorithm, the deployment and execution manager110 allows the trading algorithm to execute at the algorithm server 104as normal or blocks the execution at the algorithm server 104.Monitoring for an occurrence of a favorable and/or unfavorable executioncondition without receiving an execution request and/or prior toreceiving an execution request enables the deployment and executionmanager 110 to more quickly allow and/or disable access to the tradingalgorithm.

In certain embodiments, the deployment and execution manager 110receives a request from the algorithm server 104 to continue running atrading algorithm. The request to continue running is received while thetrading algorithm is, for example, executing trades and/or sendingorders at the exchange 108. The deployment and execution manager 110checks for a favorable and/or unfavorable execution condition as definedby the received execution rule. Based on the execution condition asapplied to the trading algorithm, the deployment and execution manager110 approves or denies the request to continue running the tradingalgorithm. For example, if there is not an occurrence of an unfavorableexecution condition, the request to continue running the tradingalgorithm may be approved. Where the request to continue running isapproved, the trading algorithm is allowed to continue running andexecuting trades. Where there is an occurrence of the unfavorableexecution condition, if any order that may be entered by the tradingalgorithm is undesirable, the trading algorithm may be blocked and/orlimited in its execution. For example, the trading algorithm may beblocked from adding to a position or entering a new position during theunfavorable condition, but may be allowed to close a position or offsetand/or hedge an existing position.

In certain embodiments, the deployment and execution manager 110monitors for an execution condition as defined by the execution rulewithout receiving a request to continue running and/or prior toreceiving a request to continue running the trading algorithm. Forexample, the deployment and execution manager 110 may continuously,periodically, or aperiodically check for the execution condition withoutreceiving a request to continue running and/or prior to receiving arequest to continue running the trading algorithm. Based on theexecution condition as applied to the trading algorithm, the deploymentand execution manager 110 allows the trading algorithm to continuerunning or limits the execution of the trading algorithm. Monitoring foran occurrence of a favorable and/or unfavorable execution conditionwithout receiving a request to continue running and/or prior toreceiving a request to continue running the trading algorithm enablesthe deployment and execution manager 110 to more quickly allow and/ordisable access to the trading algorithm.

In certain embodiments, the system 100 includes more than one tradingdevice 102. For example, multiple trading devices similar to the tradingdevice 102, discussed above, may be in communication with the algorithmserver 104 and/or the gateway 106 to send orders to the exchange 108.

In certain embodiments, the system 100 includes more than one gateway106. For example, multiple gateways similar to the gateway 106,discussed above, may be in communication with the trading device 102,the algorithm server 104, and/or the exchange 108. Such an arrangementmay be used to provide redundancy should one gateway 106 fail, forexample.

In certain embodiments, the system 100 includes more than one exchange108. For example, the gateway 106 may be in communication with multipleexchanges similar to the exchange 108, discussed above. Such anarrangement may allow the trading device 102 to trade at more than oneexchange through the gateway 106, for example.

In certain embodiments, the system 100 includes more than one exchange108 and more than one gateway 106. For example, multiple gatewayssimilar to the gateway 106, discussed above, may be in communicationwith multiple exchanges similar to the exchange 108, discussed above.Each gateway may be in communication with one or more differentexchanges, for example. Such an arrangement may allow one or moretrading devices 110 to trade at more than one exchange (and/or provideredundant connections to multiple exchanges), for example.

In certain embodiments, the trading device 102 includes one or morecomputing devices or processing components. In other words, thefunctionality of the trading device 102 may be performed by more thanone computing device. For example, one computing device may generateorders to be sent to the exchange 108 while another computing device mayprovide a graphical user interface to a user. In certain embodiments,the gateway 106 includes one or more computing devices or processingcomponents. In other words, the functionality of the gateway 106 may beperformed by more than one computing device. In certain embodiments, theexchange 108 includes one or more computing devices or processingcomponents. In other words, the functionality of the exchange 108 may beperformed by more than one computing device. In certain embodiments, thefunctionality of the deployment and execution manager 110 may beperformed by more than one computing device.

In certain embodiments, the algorithm server 104 is part of the tradingdevice 102. For example, the components of the algorithm server 104 maybe part of the same computing platform as the trading device 102. Asanother example, the functionality of the algorithm server 104 may beperformed by components of the trading device 102.

In certain embodiments, the gateway 106 is part of the trading device102. For example, the components of the gateway 106 may be part of thesame computing platform as the trading device 102. As another example,the functionality of the gateway 106 may be performed by components ofthe trading device 102. In certain embodiments, the gateway 106 is notpresent. Such an arrangement may occur when the trading device 102 doesnot need to utilize the gateway 106 to communicate with the exchange108, for example. For example, if the trading device 102 has beenadapted to communicate directly with the exchange 108.

In certain embodiments, the deployment and execution manager 110 is partof the trading device 102. For example, the components of the deploymentand execution manager 110 may be part of the same computing platform asthe trading device 102. As another example, the functionality of thedeployment and execution manager 110 may be performed by components ofthe trading device 102. In certain embodiments, the deployment andexecution manager 110 is part of the algorithm server 104 and/or thegateway 106.

In certain embodiments, the algorithm server 104 is located at the samesite as the trading device 102. In certain embodiments, the algorithmserver 104 is physically located at or near the exchange 108. This maybe referred to as co-location. Co-location is used to provide the lowestlatency to the exchange 108 by placing the algorithm server 104 as closeto the exchange 108 as possible. In certain embodiments, the algorithmserver 104 is physically located at a site separate from both thetrading device 102 and the gateway 106. In certain embodiments, thegateway 106 is physically located at the same site as the trading device102. In certain embodiments, the gateway 106 is physically located atthe same site as the exchange 108. In certain embodiments, the tradingdevice 102 is physically located at the same site as the exchange 108.In certain embodiments, the gateway 106 is physically located at a siteseparate from both the trading device 102 and the exchange 108. Incertain embodiments, the deployment and execution manager 110 is locatedat the same site as the trading device 102. In certain embodiments, thedeployment and execution manager 110 is physically located at the samesite as the gateway 106. In certain embodiments, the deployment andexecution manager 110 is physically located at a site separate from boththe trading device 102 and the gateway 106.

In certain embodiments, the system 100 may include other devices thatare specific to the communications architecture such as middleware,firewalls, hubs, switches, routers, exchange-specific communicationequipment, modems, security managers, and/or encryption/decryptiondevices.

III. Example Computing Device

FIG. 2 illustrates a block diagram of an example computing device 200which may be used to implement the disclosed embodiments. The tradingdevice 102 of FIG. 1 may include one or more computing devices 200, forexample. The gateway 106 of FIG. 1 may include one or more computingdevices 200, for example. The exchange 108 of FIG. 1 may include one ormore computing devices 200, for example. The computing device 200 mayinclude additional, different, or fewer components.

The computing device 200 includes a communication network 210, aprocessor 212, a memory 214, an interface 216, an input device 218, andan output device 220. The computing device 200 may include additional,different, or fewer components. For example, multiple communicationnetworks, multiple processors, multiple memory, multiple interfaces,multiple input devices, multiple output devices, or any combinationthereof, may be provided. As another example, the computing device 200may not include an input device 218 or output device 220.

As shown in FIG. 2, the computing device 200 may include a processor 212coupled to a communication network 210. The communication network 210may include a communication bus, channel, network, circuit, switch,fabric, or other mechanism for communicating data between components inthe computing device 200. The communication network 210 may becommunicatively coupled with and transfer data between any of thecomponents of the computing device 200.

The processor 212 may be any suitable processor, processing unit, ormicroprocessor. The processor 212 may include one or more generalprocessors, digital signal processors, application specific integratedcircuits, field programmable gate arrays, analog circuits, digitalcircuits, programmed processors, and/or combinations thereof, forexample. The processor 212 may be a single device or a combination ofdevices, such as one or more devices associated with a network ordistributed processing. Any processing strategy may be used, such asmulti-processing, multi-tasking, parallel processing, and/or remoteprocessing. Processing may be local or remote and may be moved from oneprocessor to another processor. In certain embodiments, the computingdevice 200 is a multi-processor system and, thus, may include one ormore additional processors which are communicatively coupled to thecommunication network 210.

The processor 212 may be operable to execute logic and other computerreadable instructions encoded in one or more tangible media, such as thememory 214. As used herein, logic encoded in one or more tangible mediaincludes instructions which may be executable by the processor 212 or adifferent processor. The logic may be stored as part of software,hardware, integrated circuits, firmware, and/or micro-code, for example.The logic may be received from an external communication device via acommunication network such as the network 240. The processor 212 mayexecute the logic to perform the functions, acts, or tasks illustratedin the figures or described herein.

The memory 214 may be one or more tangible media, such as computerreadable storage media, for example. Computer readable storage media mayinclude various types of volatile and non-volatile storage media,including, for example, random access memory, read-only memory,programmable read-only memory, electrically programmable read-onlymemory, electrically erasable read-only memory, flash memory, anycombination thereof, or any other tangible data storage device. As usedherein, the term non-transitory or tangible computer readable medium isexpressly defined to include any type of computer readable medium and toexclude propagating signals. The memory 214 may include any desired typeof mass storage device including hard disk drives, optical media,magnetic tape or disk, etc.

The memory 214 may include one or more memory devices. For example, thememory 214 may include local memory, a mass storage device, volatilememory, non-volatile memory, or a combination thereof. The memory 214may be adjacent to, part of, programmed with, networked with, and/orremote from processor 212, so the data stored in the memory 214 may beretrieved and processed by the processor 212, for example. The memory214 may store instructions which are executable by the processor 212.The instructions may be executed to perform one or more of the acts orfunctions described herein or shown in the figures.

The memory 214 may store a trading application 230. In certainembodiments, the trading application 230 may be accessed from or storedin different locations. The processor 212 may access the tradingapplication 230 stored in the memory 214 and execute computer-readableinstructions included in the trading application 230.

In certain embodiments, during an installation process, the tradingapplication may be transferred from the input device 218 and/or thenetwork 240 to the memory 214. When the computing device 200 is runningor preparing to run the trading application 230, the processor 212 mayretrieve the instructions from the memory 214 via the communicationnetwork 210.

IV. Controlling Trading Algorithm Deployment and/or Execution

In certain embodiments, the deployment and execution manager 110 of FIG.1 is used to control the deployment and/or execution of tradingalgorithms. In certain embodiments, operating condition rules, such asdeployment and/or execution rules, may be created and/or input by a userto define favorable and/or unfavorable market conditions. Operatingconditions may include algorithm deployment conditions, trade executionconditions, etc., resulting in deployment rules, execution rules, etc.Deployment and/or execution rules may be specified by a definition whichincludes logic expressions and/or parameters that describe certainfavorable and/or unfavorable conditions. In certain embodiments, thedeployment and execution manager 110 of FIG. 1 checks and/or monitorsfor an occurrence of the favorable and/or unfavorable condition definedby the deployment and/or execution rules. The deployment and executionmanager 110 applies the deployment and/or execution rules to a tradingalgorithm to determine if the trading algorithm is allowed to deploy,execute, and/or to continue running during the occurrence of thefavorable and/or unfavorable condition.

FIG. 3A illustrates a flow diagram of an example method 300 forcontrolling a deployment of a trading algorithm to an algorithm server,for example, the algorithm server 104 of FIG. 1. At block 302, adeployment rule is received by, for example, a deployment manager, suchas the deployment and execution manager 110 of FIG. 1. The deploymentrule may be created and/or entered by a user at, for example, a tradingdevice, such as the trading device 102 of FIG. 1. The deployment rule isused to define a favorable and/or unfavorable deployment condition inwhich a user or another person managing a trading algorithm may wish fora trading algorithm to be allowed to deploy and/or prevented fromdeploying. For example, the deployment rule may define a time at which atrading algorithm is to be blocked from establishing a position in amarket, such as a time close to when the market will close. Multipledeployment rules defining multiple favorable and/or unfavorableconditions may be received by the deployment and execution manager 110,for example.

At block 304, a deployment request is received from, for example, atrading application running on the trading device 102. The deploymentrequest may be, for example, a request to deploy a certain tradingalgorithm to the algorithm server 104. The deployment request mayinclude, for example, the trading algorithm, an identifier of thetrading algorithm, and code representing the trading algorithm.

At block 306, the deployment manager 110 checks for the deploymentcondition (e.g., a favorable or unfavorable condition) defined in thedeployment rule. In the example of FIG. 3A, the deployment manager 110checks for the deployment condition once a deployment request has beenreceived. The deployment manager 110 checks for the deployment conditionby gathering data, for example, the market data sent by the exchange108, processor data, and/or system data, and applying the data to thedeployment rule. If there is no occurrence of the deployment condition,the deployment manager 110 approves the deployment request.

Once the deployment manager 110 detects an occurrence of the deploymentcondition defined in the deployment rule, at block 308, the deploymentmanager 110 determines if the trading algorithm complies with the rule.If, for example, any order that may be entered into by the tradingalgorithm is nondesirable, the deployment manager 110 determines thatthe trading algorithm does not comply with the rule during theunfavorable condition. For example, the deployment manager 110determines if the deployment of the trading algorithm would result inthe entering of an order during a time which is prohibited by thedeployment rule.

If deployment of the trading algorithm does not comply with thedeployment rule, at block 310, the deployment manager 110 sends adeployment request denial to, for example, the trading applicationrunning on the trading device 102. The denial of the deployment requestmay result in a flag being set that prevents and/or blocks the tradingalgorithm from being deployed to the algorithm server 104.

If the deployment of the trading algorithm conforms (e.g., satisfies,complies, etc.) with the deployment rule, at block 312, the deploymentmanager 110 sends a deployment request approval to, for example, thetrading application running on the trading device 102. The approval ofthe deployment request allows the trading algorithm to be deployed fromthe trading device 102 to the algorithm server 104.

FIG. 3B illustrates a flow diagram of another example method 320 forcontrolling a deployment of a trading algorithm to the algorithm server104. At block 322, a deployment rule is received by, for example, thedeployment and execution manager 110. The deployment rule may be createdand/or entered by a user at, for example, the trading device 102. Thedeployment rule is used to define a favorable and/or unfavorabledeployment condition in which a user may wish for a trading algorithm tobe allowed to deploy and/or prevented from deploying.

At block 324, the deployment manager 110 monitors for the deploymentcondition defined in the deployment rule. The deployment manager 110monitors for the deployment condition by gathering data, for example,the market data sent by the exchange 108, processor data, and/or systemdata, and applying the data to the deployment rule. In the example ofFIG. 3B, the deployment manager 110 may continuously, periodically, oraperiodically gather data to monitor for the deployment condition.

Once the deployment manager 110 detects an occurrence of the deploymentcondition defined in the deployment rule, at block 326, the deploymentmanager 110 determines if the trading algorithm complies with the rule.If, for example, any order that may be entered into by the tradingalgorithm is nondesirable, the deployment manager 110 determines thatthe trading algorithm does not comply with the rule during theoccurrence of the unfavorable condition.

If deployment of the trading algorithm does not comply with thedeployment rule, at block 328, the deployment manager 110 deniesdeployment of the trading algorithm. The denial may result in a flagbeing set that prevents and/or blocks the trading algorithm from beingdeployed to the algorithm server 104.

If the deployment of the trading algorithm complies with the deploymentrule, at block 330, the deployment manager 110 sends a deploymentapproval to the trading application running on the trading device 102 toallow the trading algorithm to be deployed from the trading device 102to the algorithm server 104.

FIG. 4A illustrates a flow diagram of an example method 400 forcontrolling an execution of a trading algorithm at an algorithm server,for example, the algorithm server 104 of FIG. 1. At block 402, anexecution rule is received by, for example, an execution manager, suchas the deployment and execution manager 110 of FIG. 1. The executionrule may be created and/or entered by a user at, for example, a tradingdevice, such as the trading device 102 of FIG. 1. The execution rule isused to define a favorable and/or unfavorable execution condition inwhich a user may wish for a trading algorithm to be allowed to executeand/or prevented from executing. For example, the execution rule maydefine a time at which a trading algorithm is to be blocked fromestablishing a position in a market. Multiple execution rules definingmultiple favorable and/or unfavorable execution conditions may bereceived by the execution manager 110, for example.

At block 404, an execution request is received from, for example, thealgorithm server 104. The execution request may be, for example, arequest to execute a certain trading algorithm at the algorithm server104, to begin executing trades at an exchange, such as the exchange 108of FIG. 1.

At block 406, the execution manager 110 checks for the executioncondition defined in the execution rule. In the example of FIG. 4A, theexecution manager 110 checks for the execution condition once anexecution request has been received. The execution manager 110 checksfor the execution condition by gathering data, for example, the marketdata sent by the exchange 108, processor data, and/or system data, andapplying the data to the execution rule. If there is no occurrence ofthe execution condition, the execution manager 110 approves theexecution request.

Once the execution manager 110 detects an occurrence of the executioncondition defined in the execution rule, at block 408, the executionmanager 110 determines if the trading algorithm complies with the rule.If, for example, any order that may be entered into by the tradingalgorithm is nondesirable, the execution manager 110 determines that thetrading algorithm does not comply with the rule during the occurrence ofthe unfavorable condition. For example, the execution manager 110determines if the execution of the trading algorithm would result in theentering of an order during a time which is prohibited by the executionrule.

If execution of the trading algorithm does not comply with the executionrule, at block 410, the execution manager 110 sends an execution requestdenial to the algorithm server 104. The denial of the execution requestmay result in a flag being set that prevents and/or blocks the tradingalgorithm from being executed at the algorithm server 104.

If the execution of the trading algorithm complies with the executionrule, at block 412, the execution manager 110 sends an execution requestapproval to the algorithm server 104. The approval of the executionrequest allows the trading algorithm to be executed at the algorithmserver 104.

FIG. 4B illustrates a flow diagram of another example method 420 forcontrolling an execution of a trading algorithm at the algorithm server104. At block 422, an execution rule is received by, for example, anexecution manager, such as the deployment and execution manager 110 ofFIG. 1. The execution rule may be created and/or entered by a user at,for example, a trading device, such as the trading device 102 of FIG. 1.The execution rule is used to define a favorable and/or unfavorableexecution condition in which a user may wish for a trading algorithm tobe allowed to execute and/or prevented from executing.

At block 424, the execution manager 110 monitors for the executioncondition defined in the execution rule. The execution manager 110monitors for the execution condition by gathering data, for example, themarket data sent by the exchange 108, processor data, and/or systemdata, and applying the data to the execution rule. In the example ofFIG. 4B, the execution manager 110 may continuously, periodically, oraperiodically collect data to monitor for the execution condition.

Once the execution manager 110 detects an occurrence of the executioncondition defined in the execution rule, at block 426, the executionmanager 110 determines if the trading algorithm complies with the rule.If, for example, any order that may be entered into by the tradingalgorithm is nondesirable, the execution manager 110 determines that thetrading algorithm does not comply with the rule during the occurrence ofthe unfavorable condition.

If execution of the trading algorithm does not comply with the executionrule, at block 428, the execution manager 110 denies execution of thetrading algorithm. The denial may result in a flag being set thatprevents and/or blocks the trading algorithm from being executed at thealgorithm server 104.

If the execution of the trading algorithm complies with the executionrule, at block 430, the execution manager 110 sends an executionapproval to the algorithm server 104 to allow the trading algorithm tobe executed at the algorithm server 104.

FIG. 5A illustrates a flow diagram of an example method 500 forcontrolling a continued running of a trading algorithm at an algorithmserver (e.g., the algorithm server 104) that is executing orders at anexchange (e.g., the exchange 108). At block 502, an execution rule isreceived by, for example, an execution manager, such as the deploymentand execution manager 110 of FIG. 1. The execution rule may be createdand/or entered by a user at, for example, a trading device, such as thetrading device 102 of FIG. 1. The execution rule is used to define afavorable and/or unfavorable market execution condition in which a usermay wish for a trading algorithm to be allowed to execute, blocked fromexecuting, and/or limited in its execution. For example, the executionrule may define at time at which a trading algorithm is to be blockedfrom increasing a position in a market. Multiple execution rulesdefining multiple favorable and/or unfavorable execution conditions maybe received by the execution manager 110, for example.

At block 504, a request to continue running a trading algorithm isreceived from the algorithm server 104. The request to continue runninga trading algorithm may be, for example, a request to continue running acertain trading algorithm at the algorithm server 104, that is executingtrades at the exchange 108.

At block 506, the execution manager 110 checks for the executioncondition defined in the execution rule. In the example of FIG. 5A, theexecution manager 110 checks for the execution condition once a requestto continue running the trading algorithm has been received. Theexecution manager 110 checks for the execution condition by gatheringdata, for example, the market data sent by the exchange 108, processordata, and/or system data, and applying the data to the execution rule.If there is no occurrence of the execution condition, the executionmanager 110 approves the request to continue running the tradingalgorithm.

Once the execution manager 110 detects an occurrence of the executioncondition defined in the execution rule, at block 508, the executionmanager 110 determines if the currently executing trading algorithmcomplies with the rule. If, for example, any order that may be enteredinto by the trading algorithm is nondesirable, the execution manager 110determines that the trading algorithm does not comply with the ruleduring the occurrence of the unfavorable condition. For example, theexecution manager 110 determines if the continued execution of thetrading algorithm would result in the entering of an order during a timewhich is prohibited by the execution rule.

If the continued execution of the trading algorithm does not comply withthe execution rule, at block 510, the execution manager 110 limits theexecution of the trading algorithm. For example, the execution manager110 may allow the trading algorithm to close a position and/or hedge anopen position, but may block the trading algorithm from entering a newposition and/or increasing a position in the market during theoccurrence of the execution condition.

If the continued execution of the trading algorithm complies with theexecution rule, at block 512, the execution manager 110 sends anapproval of the request to continue running the trading algorithm to thealgorithm server 104. The approval of the continued running of thetrading algorithm allows the trading algorithm to continue runningand/or executing trades.

FIG. 5B illustrates a flow diagram of another example method 520 forcontrolling a continued running of a trading algorithm at the algorithmserver 104 that is executing orders at the exchange 108. At block 522,an execution rule is received by, for example, the deployment andexecution manager 110. The execution rule may be created and/or enteredby a user at, for example, the trading device 102. The execution rule isused to define a favorable and/or unfavorable market execution conditionin which a user may wish for a trading algorithm to be allowed toexecute, blocked from executing, and/or limited in its execution.

At block 524, the execution manager 110 monitors for the executioncondition defined in the execution rule. The execution manager 110monitors for the execution condition by gathering data, for example, themarket data sent by the exchange 108, processor data, and/or systemdata, and applying the data to the execution rule. In the example ofFIG. 5B, the execution manager 110 may continuously, periodically, oraperiodically gather data to monitor for the execution condition.

Once the execution manager 110 detects an occurrence of the executioncondition defined in the execution rule, at block 526, the executionmanager 110 determines if the currently executing trading algorithmcomplies with the rule. If, for example, any order that may be enteredinto by the trading algorithm is nondesirable, the execution manager 110determines that the trading algorithm does not comply with the ruleduring the unfavorable condition.

If the continued execution of the trading algorithm does not comply withthe execution rule, at block 528, the execution manager 110 limits theexecution of the trading algorithm. For example, the execution manager110 may allow the trading algorithm to close a position and/or hedge anopen position, but may block the trading algorithm from entering a newposition and/or increasing a position in the market during theoccurrence of the execution condition.

If the continued execution of the trading algorithm complies with theexecution rule, at block 530, the execution manager 110 allows thetrading algorithm to continue running and/or executing trades.

FIG. 6A illustrates a flow diagram of an example method 600 formonitoring for an unfavorable condition. The example method 600 of FIG.6A may be used in connection with the example methods of FIGS. 3-5 tocontrol the deployment and/or execution of a trading algorithm. Forexample, the example method 600 may be used to check and/or monitor fora deployment and/or execution condition according to a deployment and/orexecution rule and to determine if a trading algorithm complies with thedeployment and/or execution rule during the occurrence of theunfavorable condition.

At block 602, a deployment and execution manager, for example, thedeployment and execution manager 110 of FIG. 1, queries, collects and/orconsumes data from a variety of sources. The sources include, forexample, an exchange, such as the exchange 108 of FIG. 1, a clock, anews feed, and/or a processor. Blocks 602 a-f illustrate examples oftypes of data that the deployment and execution manager may collect. Forexample, block 602 a shows that the deployment and execution manager maycollect data to determine if an exchange matching engine turnaround timeis greater than 500 milliseconds. The example of block 602 b shows thatthe deployment and execution manager may collect data to determine if alocal CPU is operating at a value greater than 80%. The example of block602 c shows that the deployment and execution manager may collect datato determine if a correlated market (a market with similar propertiesand/or behaviors) is currently very volatile. The example of block 602 dshows that the deployment and execution manager may collect data to showand/or determine if an inside market quantity is less than 100. Theexample of block 602 e shows that the deployment and execution managermay collect data to show and/or determine if a current time of day isbefore 7:20 am or after 2:00 pm. The example of block 602 f shows thatthe deployment and execution manager may collect data to determine if amarket very volatile at a current time during a previous day. Otherexamples of data that may be collected include processor usage on aserver, order routing turnaround time, memory usage, news events (forexample, the occurrence of a hurricane), etc.

At block 604, the deployment and execution manager applies the datacollected at block 602 to the deployment and/or execution rules. Forexample, a rule might block a trading algorithm from deploying if aninside market quantity is less than 100. If the data collected in block602 indicates that the inside market quantity is less than 100, thedeployment and execution manager determines an unfavorable condition hasoccurred that may block a trading algorithm from deploying. In anotherexample, a rule might block a trading algorithm from deploying if acurrent time of day is after 2:00 pm. If the data collected in block 602indicates that the current time of day is after 2:00 pm, the deploymentand execution manager determines an unfavorable condition has occurredthat may block a trading algorithm from deploying.

At block 606, the deployment and execution manager determines if thetrading algorithm complies with the deployment and/or execution rulesduring the occurrence of the unfavorable condition. If any order thatmay be entered into by the trading algorithm is nondesirable, thedeployment and execution manager determines that the trading algorithmdoes not comply with the rules during the occurrence of the unfavorablecondition. For example, if the deployment and execution managerdetermined an inside market quantity is less than 100, the deploymentand execution manager determines if the trading algorithm is affected bythis unfavorable condition based on the deployment rule. In someexamples, the deployment rule may indicate that all trading algorithmsare to be blocked from deployment during this market condition. In otherexamples, the deployment rule may indicate that only certain tradingalgorithms are to be blocked from deployment during this unfavorablecondition, such as only trading algorithms used by new traders.

If the deployment and execution manager determines that the tradingalgorithm does not comply with the deployment and/or execution rulesduring the occurrence of the unfavorable condition, the deployment andexecution manager limits and/or blocks the deployment and/or executionof the trading algorithm. For example, the deployment and executionmanager may block the deployment and/or execution of the tradingalgorithm where the trading algorithm has not yet established a positionin the market. In another example, the deployment and execution managermay limit the continued execution of the trading algorithm where thetrading algorithm has already established a position in the market. Inthis example, the deployment and execution manager may allow the tradingalgorithm to close and/or hedge an open position in the market and mayprevent the trading algorithm from entering a new position and/or addingto an open position in the market.

If the deployment and execution manager determines that the tradingalgorithm complies with the deployment and/or execution rules during theoccurrence of the unfavorable condition, the deployment and executionmanager allows the trading algorithm to deploy and/or execute.

FIG. 6B illustrates example data structures 620 a-c for use in theexample method for monitoring for an unfavorable condition illustratedin FIG. 6A. In FIG. 6A, blocks 602 a-c illustrate examples of types ofdata that the deployment and execution manager may collect. Example datastructures 620 a-c corresponding to blocks 602 a-c are shown in theillustrated example.

Block 602 a of FIG. 6A shows that the deployment and execution managermay collect data to determine if an exchange matching engine turnaroundtime is greater than, for example, 500 milliseconds. The exchangematching engine turnaround time is an amount of time it takes to receivea message indicating that a match has been made for a trade order at anexchange. The deployment and execution manager collects and/ordetermines the turnaround time and compares the turnaround time to thedata structure 620 a. The data structure 620 a includes anidentification (“ID”) block a1, a turnaround value block a2, and anoperator block a3. The ID block a1 may include an identification of acorresponding collected data (for example, 602 a) to identify the datathat is to be compared to the data structure 620 a. The turnaround valueblock a2 identifies a turnaround value that the collected data is to becompared to (for example, 500 milliseconds). The operator block a3identifies an operator that is to be used when comparing the collecteddata (for example, the operator block a3 indicates that the collectedvalue should not be greater than 500 milliseconds).

Block 602 b of FIG. 6A shows that the deployment and execution managermay collect data to determine if a local CPU is operating at a valuegreater than 80%. The deployment and execution manager collects localCPU usage and compares it to the data structure 620 b. The datastructure 620 b includes an ID block b1, a CPU block b2, a value blockb3, and an operator block b4. The ID block b1 may include anidentification of a corresponding collected data (for example, 602 b) toidentify the data that is to be compared to the data structure 620 b.The CPU block b2 identifies a CPU that is to be compared (for example,the local CPU). The value block b3 identifies a usage value to which thecollected data is to be compared (for example, 80%). The operator blockb4 identifies an operator that is to be used when comparing thecollected data (for example, the operator block b4 indicates that thecollected value should not be greater than 80%).

Block 602 c of FIG. 6A shows that the deployment and execution managermay collect data to determine if a correlated market is currently veryvolatile. The deployment and execution manager collects volatility dataof a corresponding market and compares it to the data structure 620 c.The data structure 620 c includes an ID block c1, an algorithm marketblock c2, a correlated market block c3, and a market volatility blockc4. The ID block c1 may include an identification of a correspondingcollected data (for example, 602 c) to identify the data that is to becompared to the data structure 620 c. The algorithm market block c2identifies a market associated with the trading algorithm that is todeploy and/or execute (for example, the ES futures market). Thecorrelated market block c3 identifies a correlated market (for example,the NQ futures market). The market volatility block c4 identifies anamount of volatility that is to be used when comparing the collecteddata (for example, market volatility block c4 indicates that thecorrelated market volatility should not be high).

In other examples, the example data structures 620 a-c may includeadditional ID blocks to identify specific trading algorithms which mustbe checked by the deployment and execution manager.

FIG. 7A is a block diagram of an example deployment and executionmanager, such as the deployment and execution manager 110 of FIG. 1. Thedeployment and execution manager 110 illustrated in FIG. 7A may be usedto implement the example methods described in FIGS. 3A, 4A, 5A, 6A, and6B, for example. In certain embodiments, the deployment and executionmanager 110 includes a rule receiver 702, a request receiver 704, acondition checker 706, a compliance checker 708, and a notificationsender 710.

The rule receiver 702 is used by the deployment and execution manager110 to receive deployment and/or execution rules. The deployment and/orexecution rules may be created and/or input by a user at a tradingdevice (for example, the trading device 102 of FIG. 1) and sent to therule receiver 702. In another example, the deployment and/or executionrules may be created and/or input by a user at the rule receiver 702 viaa user interface. The deployment and/or execution rules define favorableand/or unfavorable conditions that are used by the deployment andexecution manager 110 to control the deployment and/or execution of atrading algorithm.

The request receiver 704 is used by the deployment and execution manager110 to receive deployment and/or execution requests. For example, therequest receiver 704 may receive a deployment request from a tradingdevice, such as the trading device 102 of FIG. 1, to request that atrading algorithm be permitted to deploy to an algorithm server, forexample, the algorithm server 104 of FIG. 1. In another example, therequest receiver 704 may receive an execution request from the algorithmserver to request permission to execute a trading algorithm at thealgorithm server. In another example, the request receiver 704 mayreceive a request to continue running a trading algorithm that isexecuting orders at an exchange.

The condition checker 706 is used by the deployment and executionmanager 110 to check for a favorable and/or unfavorable deploymentand/or execution condition. For example, the deployment and/or executionrules received by the rule receiver 702 define a favorable and/orunfavorable condition and the condition checker 706 checks for thedefined condition upon receiving a deployment and/or execution requestat the request receiver 704. The condition checker 706 checks for thedefined condition by collecting market data, processor data, and/orsystem data and applying the data to the deployment and/or executionrules.

Once the condition checker 706 determines the favorable and/orunfavorable deployment and/or execution condition exists, the compliancechecker 708 determines if the trading algorithm complies with thedeployment and/or execution rules during the occurrence of the favorableand/or unfavorable condition. If, for example, any order that may beentered into by the trading algorithm is nondesirable, the compliancechecker 708 may determine that the trading algorithm does not complywith the rule during the occurrence of the unfavorable condition. Forexample, the compliance checker 708 determines if the deployment of thetrading algorithm violates the deployment rule, if the execution of thetrading algorithm violates the execution rule, and/or if the continuedrunning of the trading algorithm violates the execution rule.

Once the compliance checker 708 determines if the trading algorithmcomplies with the deployment and/or execution rules, the notificationsender 710 sends a denial or an approval of the deployment and/orexecution request. For example, if the compliance checker 708 determinesthat the trading algorithm complies with the deployment and/or executionrules, the notification sender 710 sends a deployment and/or executionrequest approval that allows the trading algorithm to deploy, execute,and/or continue running. If the compliance checker 708 determines thatthe trading algorithm does not comply with the deployment and/orexecution rules, the notification sender 710 sends a deployment and/orexecution request denial that limits and/or blocks the trading algorithmfrom deploying, executing, and/or running. The notification sender 710may set a flag that blocks the deployment and/or execution of a tradingalgorithm or may limit the continued execution of the trading algorithm.For example, the trading algorithm may be prevented from adding to anopen position or entering a new position, but may be allowed to close aposition and/or hedge a position in the market.

FIG. 7B is a block diagram of another example deployment and executionmanager, such as the deployment and execution manager 110 of FIG. 1. Thedeployment and execution manager 110 illustrated in FIG. 7B may be usedto implement the example methods described in FIGS. 3B, 4B, 5B, 6A, and6B. In certain embodiments, the deployment and execution manager 110includes the rule receiver 702, a condition monitor 712, the compliancechecker 708, and the notification sender 710.

The rule receiver 702 is used by the deployment and execution manager110 to receive deployment and/or execution rules. The deployment and/orexecution rules may be created and/or input by a user at a tradingdevice, for example, the trading device 102 of FIG. 1, and sent to therule receiver 702. In another example, the deployment and/or executionrules may be created and/or input by a user at the rule receiver 702 viaa user interface. The deployment and/or execution rules define favorableand/or unfavorable conditions that are used by the deployment andexecution manager 110 to control the deployment and/or execution of atrading algorithm.

The condition monitor 712 is used by the deployment and executionmanager 110 to monitor for a favorable and/or unfavorable deploymentand/or execution condition. For example, the deployment and/or executionrules received by the rule receiver 702 define a favorable and/orunfavorable condition and the condition monitor 712 monitors for thedefined condition. The condition monitor 712 monitors for the definedcondition by collecting market data, processor data, and/or system dataand applying the data to the deployment and/or execution rules. Thecondition monitor 712 may, for example, continuously, periodically, oraperiodically collect data to monitor for the occurrence of thefavorable and/or unfavorable condition.

Once the condition monitor 712 determines the favorable and/orunfavorable deployment and/or execution condition exists, the compliancechecker 708 determines if the trading algorithm complies with thedeployment and/or execution rules during the occurrence of thecondition. If, for example, any order that may be entered into by thetrading algorithm is nondesirable, the compliance checker 708 determinesthat the trading algorithm does not comply with the rule during theunfavorable condition. For example, the compliance checker 708determines if the deployment of the trading algorithm violates thedeployment rule, if the execution of the trading algorithm violates theexecution rule, and/or if the continued running of the trading algorithmviolates the execution rule.

Once the compliance checker 708 determines if the trading algorithmcomplies with the deployment and/or execution rules, the notificationsender 710 denies or allows the deployment and/or execution of thetrading algorithm. For example, if the compliance checker 708 determinesthat the trading algorithm complies with the deployment and/or executionrules, the notification sender 710 sends a notification to allow thetrading algorithm to deploy, execute, and/or continue running. If thecompliance checker 708 determines that the trading algorithm does notcomply with the deployment and/or execution rules, the notificationsender 710 sends a notification to limit and/or block the tradingalgorithm from deploying, executing, and/or running. The notificationsender 710 may set a flag that blocks the deployment and/or execution ofa trading algorithm or may limit the continued execution of the tradingalgorithm. For example, the trading algorithm may be prevented fromadding to a position or entering a new position, but may be allowed toclose a position and/or hedge a position in the market.

FIGS. 8-10 illustrate example timing diagrams for controlling adeployment and/or execution of a trading algorithm. In FIGS. 8-10, theexchange 108, the algorithm server 104, the trading device 102, and thedeployment and execution manager 110 are illustrated as vertical lines.For clarity and ease of description, the gateway 106 is not shown.However, it should be understood that the gateway 106 may operate inconjunction with the exchange 108, the algorithm server 104, the tradingdevice 102, and the deployment and execution manager 110.

In the illustrated examples, each of the exchange 108, the algorithmserver 104, the trading device 102, and the deployment and executionmanager 110 may execute one or more processes. In FIGS. 8-10, processesare shown as blocks aligned along the respective device that executesthe respective processes in that particular example. An arrow depictsinformation conveyed from one device to another device. The order of thedisclosed information flow and/or logical processes may be changed,and/or some of the disclosed information flow and/or logical processesmay be changed, eliminated, sub-divided, or combined.

FIG. 8A illustrates an example timing diagram for controlling adeployment of a trading algorithm. During normal operation, a tradingalgorithm is deployed by a trading device to an algorithm server tobegin, for example, sending orders according to the trading algorithm.To control the deployment of the trading algorithm to avoid, forexample, entering orders in an unfavorable market, certain embodimentsprovide for the creation of deployment rules. A deployment rule may becreated and/or input by a user on the trading device 102 and/or thedeployment manager 110. The deployment rule defines a favorable and/orunfavorable condition in which a trading algorithm may be allowed todeploy and/or blocked from deployment if the trading algorithm does notcomply with the deployment rule during the favorable and/or unfavorablecondition. The deployment rule may be specified by a definition whichincludes logic expressions and/or parameters that describe the favorableand/or unfavorable condition. For example, the unfavorable condition maybe based on poor market liquidity and/or high market volatility. Atblock 802, the deployment manager 110 receives the deployment rule.

At block 804, the trading device 102 attempts to deploy the tradingalgorithm. In the example of FIG. 8A, as part of the deployment attempt,the trading device 102 sends a request to deploy the trading algorithmto the deployment manager 110 (line 806). In the example of FIG. 8A, thetrading device 102 may need approval from the deployment manager 110 todeploy the trading algorithm to the algorithm server 104.

At block 808, the deployment manager 110 determines whether to approvethe deployment of the trading algorithm to the algorithm server 104. Todetermine whether to approve the deployment, the deployment manager 110checks for the favorable and/or unfavorable condition defined by thedeployment rule and determines if the trading algorithm complies withthe deployment rule during the favorable and/or unfavorable condition.To check for the favorable and/or unfavorable condition defined by thedeployment rule, the deployment manager 110 collects data and appliesthe data to the deployment rule. The deployment manager 110 thendetermines if the trading algorithm complies with the deployment ruleduring the favorable and/or unfavorable condition. For example, if anyorder that may be entered into by the trading algorithm is nondesirable,the deployment manager 110 may determine that the trading algorithm doesnot comply with the rule during the occurrence of the unfavorablecondition.

In the example of FIG. 8A, at block 808, the deployment manager 110determines that the trading algorithm does not comply with thedeployment rule during the favorable and/or unfavorable condition. Thus,the deployment manager 110 sends a denial of the deployment request tothe trading device 102 (line 810). The denial of the deployment request,may, for example, set a flag that indicates that the deployment of thetrading algorithm should not be processed. At line 812, the attempteddeployment of the trading algorithm is denied at the trading device 102and the trading device 102 may not deploy the trading algorithm.

At block 814, the trading device 102 again attempts to deploy thetrading algorithm. Again, as part of the deployment attempt in theexample of FIG. 8A, the trading device 102 sends a request to deploy thetrading algorithm to the deployment manager 110 (line 816). At block818, the deployment manager 110 determines whether to approve thedeployment of the trading algorithm to the algorithm server 104. Atblock 818, the deployment manager 110 determines that the tradingalgorithm complies with the deployment rule during the favorable and/orunfavorable condition and approves the deployment of the tradingalgorithm. The deployment manager 110 sends an approval of thedeployment request to the trading device 102 (line 820). Once thetrading device 102 receives approval, the trading device 102 deploys thetrading algorithm to the algorithm server 104 (line 822).

FIG. 8B illustrates another example timing diagram for controlling adeployment of a trading algorithm. In the example of FIG. 8B, thetrading device 102 does not send a request to deploy the tradingalgorithm. At block 830, the deployment manager 110 receives adeployment rule that defines a favorable and/or unfavorable conditionduring which the trading algorithm may be allowed to deploy and/orblocked from deployment.

At block 832, the deployment manager 110 determines whether to allow thedeployment of the trading algorithm to the algorithm server 104. Todetermine whether to allow the deployment, the deployment manager 110monitors for the favorable and/or unfavorable condition defined by thedeployment rule and determines if the trading algorithm complies withthe deployment rule during the occurrence of the favorable and/orunfavorable condition. To monitor for the favorable and/or unfavorablecondition defined by the deployment rule, the deployment manager 110collects data and applies the data to the deployment rule. Thedeployment manager 110 may continuously, periodically, or aperiodicallycollect data to monitor for the favorable and/or unfavorable condition.The deployment manager 110 then determines if the trading algorithmcomplies with the deployment rule during the occurrence of the favorableand/or unfavorable condition. For example, if any order that may beentered into by the trading algorithm is nondesirable, the deploymentmanager 110 determines that the trading algorithm does not comply withthe rule during the unfavorable condition.

In the example of FIG. 8B, at block 832, the deployment manager 110determines that the trading algorithm does not comply with thedeployment rule during the favorable and/or unfavorable condition. Thus,the deployment manager 110 denies the deployment of the tradingalgorithm at the trading device 102 (line 834). The denial may, forexample, set a flag that indicates that the deployment of the tradingalgorithm should not be processed. At block 836, the trading device 102attempts to deploy the trading algorithm. At line 838, the deploymentattempt is denied at the trading device 102 and the trading device 102may not deploy the trading algorithm to the algorithm server 104.

At block 840, the deployment manager 110 again determines whether toapprove the deployment of the trading algorithm to the algorithm server104. At block 840, the deployment manager 110 determines that thetrading algorithm complies with the deployment rule during theoccurrence of the favorable and/or unfavorable condition and approvesthe deployment of the trading algorithm. The deployment manager 110sends an approval of the deployment the trading device 102 (line 842).At block 844, the trading device 102 again attempts to deploy thetrading algorithm. Because the deployment manager 110 sent approval, thetrading device 102 is not blocked from deploying the trading algorithmto the algorithm server 104 (line 846).

FIG. 9A illustrates an example timing diagram for controlling anexecution of a trading algorithm. During normal operation, the algorithmserver 104 executes a trading algorithm to begin, for example, sendingorders to the exchange 108 according to the trading algorithm. Tocontrol the execution of the trading algorithm to avoid, for example,entering orders in an unfavorable market, certain embodiments providefor the creation of execution rules. An execution rule may be createdand/or input by a user on the trading device 102 and/or the executionmanager 110. The execution rule defines a favorable and/or unfavorablecondition in which a trading algorithm may be blocked from executing ifthe trading algorithm does not comply with the execution rule during theoccurrence of the favorable and/or unfavorable condition. The executionrule may be specified by a definition which includes logic expressionsand/or parameters that describe the condition. For example, theunfavorable condition may be based on poor market liquidity and/or highmarket volatility. At block 902, the execution manager 110 receives theexecution rule.

At block 904, the algorithm server 104 attempts to execute the tradingalgorithm. In the example of FIG. 9A, as part of the execution attempt,the algorithm server 104 sends a request to execute the tradingalgorithm to the execution manager 110 (line 906). In the example ofFIG. 9A, the algorithm server 104 may need approval from the executionmanager 110 to execute the trading algorithm.

At block 908, the execution manager 110 determines whether to approvethe execution of the trading algorithm at the algorithm server 104. Todetermine whether to approve the execution, the execution manager 110checks for the favorable and/or unfavorable condition defined by theexecution rule and determines if the trading algorithm complies with theexecution rule during the occurrence of the favorable and/or unfavorablecondition. To check for the favorable and/or unfavorable conditiondefined by the execution rule, the execution manager 110 collects dataand applies the data to the execution rule. The execution manager 110then determines if the trading algorithm complies with the executionrule during the occurrence of the favorable and/or unfavorablecondition. For example, if any order that may be entered into by thetrading algorithm is nondesirable, the execution manager 110 determinesthat the trading algorithm does not comply with the rule during theoccurrence of the unfavorable condition.

In the example of FIG. 9A, at block 908, the execution manager 110determines that the trading algorithm complies with the execution ruleduring the occurrence of the favorable and/or unfavorable condition andapproves the execution of the trading algorithm. The execution manager110 sends an approval of the execution request to the algorithm server104 (line 910). Once the algorithm server 104 receives approval, thealgorithm server 104 executes the trading algorithm and sends tradesaccording to the trading algorithm to the exchange 108 (line 912). Inthe example of FIG. 9A, the algorithm server 104 sends trades to theexchange according to the trading algorithm until the trading algorithmhas completed its execution and/or terminated, at which point, theexecution stops (block 914).

At block 916, the algorithm server 104 again attempts to execute thetrading algorithm. Again, as part of the execution attempt in theexample of FIG. 9A, the algorithm server 104 sends a request to executethe trading algorithm to the execution manager 110 (line 918). At block920, the execution manager 110 determines whether to approve theexecution of the trading algorithm at the algorithm server 104.

At block 920, the execution manager 110 determines that the tradingalgorithm does not comply with the execution rule during the occurrenceof the favorable and/or unfavorable condition. Thus, the executionmanager 110 sends a denial of the execution request to the algorithmserver 104 (line 922). The denial of the execution request, may, forexample, set a flag that indicates that the execution of the tradingalgorithm should not be processed. At line 924, the attempted executionof the trading algorithm is denied at the algorithm server 104 and thealgorithm server 104 may not execute the trading algorithm.

FIG. 9B illustrates another example timing diagram for controlling anexecution of a trading algorithm. In the example of FIG. 9B, thealgorithm server 104 does not send a request to execute the tradingalgorithm. At block 930, the execution manager 110 receives an executionrule that defines a favorable and/or unfavorable condition during whichthe trading algorithm may be blocked from execution.

At block 932, the execution manager 110 determines whether to approvethe execution of the trading algorithm at the algorithm server 104. Forexample, if any order that may be entered into by the trading algorithmis nondesirable, the execution manager 110 determines that the tradingalgorithm does not comply with the rule during the occurrence of theunfavorable condition. In the example of FIG. 9B, at block 932, theexecution manager 110 determines that the trading algorithm complieswith the execution rule during the occurrence of the favorable and/orunfavorable condition and approves the execution of the tradingalgorithm. The execution manager 110 sends an approval of the executionto the algorithm server 104 (line 934).

At block 936, the algorithm server 104 attempts to execute the tradingalgorithm. Because the algorithm server 104 received approval from theexecution manager 110, the algorithm server 104 is able to execute thetrading algorithm and sends trades according to the trading algorithm tothe exchange 108 (line 938). In the example of FIG. 9B, the algorithmserver 104 sends trades to the exchange according to the tradingalgorithm until the trading algorithm has completed its execution and/orterminated, at which point, the execution stops (block 940).

At block 942, the execution manager 110 again determines whether toapprove the execution of the trading algorithm at the algorithm server104. At block 942, the execution manager 110 determines that the tradingalgorithm does not comply with the execution rule during the occurrenceof the favorable and/or unfavorable condition. Thus, the executionmanager 110 denies the execution at the algorithm server 104 (line 944).The execution denial, may, for example, set a flag that indicates thatthe execution of the trading algorithm should not be processed. At block946, the algorithm server 104 again attempts to execute the tradingalgorithm. At line 948, the attempted execution of the trading algorithmis denied at the algorithm server 104 and the algorithm server 104 maynot execute the trading algorithm.

FIG. 10A illustrates an example timing diagram for controlling acontinued running of a trading algorithm. During normal operation, thealgorithm server 104 executes a trading algorithm to begin, for example,sending orders to the exchange 108 according to the trading algorithm.To control the continued execution of the trading algorithm to avoid,for example, entering additional orders in an unfavorable market,certain embodiments provide for the creation of execution rules. Anexecution rule may be created and/or input by a user on the tradingdevice 102 and/or the execution manager 110. The execution rule definesa favorable and/or unfavorable condition in which a trading algorithmmay be allowed to continue executing and/or limited in its continuedexecution if the trading algorithm does not comply with the executionrule during the occurrence of the favorable and/or unfavorablecondition. The execution rule may be specified by a definition whichincludes logic expressions and/or parameters that describe the favorableand/or unfavorable condition. For example, the unfavorable condition maybe based on poor market liquidity and/or high market volatility. Atblock 1002, the execution manager 110 receives the execution rule.

At line 1004, the trading algorithm is sent from the trading device 102to the algorithm server 104 to be executed. At block 1006, the algorithmserver 104 executes the trading algorithm and begins sending trades tothe exchange 108 according to the trading algorithm (line 1008). Whilethe trading algorithm is executing (line 1010) and trades are being sentto the exchange 108 according to the trading algorithm, the algorithmserver 104 sends a request to the execution manager 110 to continuerunning the trading algorithm (line 1012). In the example of FIG. 10A,the algorithm server 104 may need approval from the execution manager110 to continue running the trading algorithm.

At block 1014, the execution manager 110 determines whether to approvethe continued running of the trading algorithm at the algorithm server104. To determine whether to approve the continued running, theexecution manager 110 checks for the favorable and/or unfavorablecondition defined by the execution rule and determines if the tradingalgorithm is complying with the execution rule during the occurrence ofthe favorable and/or unfavorable condition. To check for the favorableand/or unfavorable condition defined by the execution rule, theexecution manager 110 collects data and applies the data to theexecution rule. The execution manager 110 then determines if the tradingalgorithm is complying with the execution rule during the occurrence ofthe favorable and/or unfavorable condition. For example, if any orderthat may be entered into by the trading algorithm is nondesirable, theexecution manager 110 determines that the trading algorithm does notcomply with the rule during the occurrence of the unfavorable condition.

At block 1014, the execution manager 110 determines that the tradingalgorithm is not complying with the execution rule during the occurrenceof the favorable and/or unfavorable condition. Thus, the executionmanager 110 responds to the request to continue running by limiting thecontinued execution of the trading algorithm (line 1016). At box 1018,the continued execution of the trading algorithm is limited at thealgorithm server 104. Limiting the continued execution of the tradingalgorithm may include, for example, preventing the trading algorithmfrom entering a new position and/or preventing the trading algorithmfrom adding to a position in the market. Limiting the continuedexecution of the trading algorithm may include, for example, allowingthe trading algorithm to close a position and/or allowing the tradingalgorithm to hedge a position in the market.

FIG. 10B illustrates another example timing diagram for controlling acontinued running of a trading algorithm. In the example of FIG. 10B,the algorithm server 104 does not send a request to continue running thetrading algorithm. At block 1030, the execution manager 110 receives anexecution rule that defines a favorable and/or unfavorable conditionduring which the trading algorithm may be allowed to continue executingand/or limited in its continued execution.

At line 1032, the trading algorithm is sent from the trading device 102to the algorithm server 104 to be executed. At block 1034, the algorithmserver 104 executes the trading algorithm and begins sending trades tothe exchange 108 according to the trading algorithm (line 1036). Whilethe trading algorithm is executing (line 1038) and trades are being sentto the exchange 108 according to the trading algorithm, the executionmanager 110 determines whether to allow the continued running of thetrading algorithm at the algorithm server 104 (block 1040). For example,if any order that may be entered into by the trading algorithm isnondesirable, the execution manager 110 determines that the tradingalgorithm does not comply with the rule during the occurrence of theunfavorable condition.

At block 1040, the execution manager 110 determines that the tradingalgorithm is not complying with the execution rule during the occurrenceof the favorable and/or unfavorable condition. Thus, the executionmanager 110 limits the continued execution of the trading algorithm(line 1042). At box 1044, the continued execution of the tradingalgorithm is limited at the algorithm server 104. Limiting the continuedexecution of the trading algorithm may include, for example, preventingthe trading algorithm from entering a new position and/or preventing thetrading algorithm from adding to a position in the market. Limiting thecontinued execution of the trading algorithm may include, for example,allowing the trading algorithm to close a position and/or allowing thetrading algorithm to hedge a position in the market.

Some of the described figures depict example block diagrams, systemsand/or flow diagrams representative of methods that may be used toimplement all or part of certain embodiments. One or more of thecomponents, elements, blocks, and/or functionality of the example blockdiagrams, systems, and/or flow diagrams may be implemented alone or incombination in hardware, firmware, discrete logic, as a set of computerreadable instructions stored on a tangible computer readable medium, orany combination thereof, for example.

The example block diagrams, systems, and/or flow diagrams may beimplemented using any combination(s) of application specific integratedcircuit(s) (“ASIC”(s)), programmable logic device(s) (“PLD”(s)), fieldprogrammable logic device(s) (“FPLD”(s)), discrete logic, hardware,and/or firmware, for example. Also, some or all of the example methodsmay be implemented manually or in combination with the foregoingtechniques, for example.

The example block diagrams, systems, and/or flow diagrams may beperformed using one or more processors, controllers, and/or otherprocessing devices, for example. For example, the examples may beimplemented using coded instructions, for example, computer readableinstructions, stored on a tangible computer readable medium. A tangiblecomputer readable medium may include various types of volatile andnon-volatile storage media, including, for example, random access memory(“RAM”), read-only memory (“ROM”), programmable read-only memory(“PROM”), electrically programmable read-only memory (“EPROM”),electrically erasable read-only memory (“EEPROM”), flash memory, a harddisk drive, optical media, magnetic tape, a file server, any othertangible data storage device, or any combination thereof. The tangiblecomputer readable medium is non-transitory. As used herein, the termnon-transitory or tangible computer readable medium is expressly definedto include any type of computer readable storage media and to excludepropagating signals.

Further, although the example block diagrams, systems, and/or flowdiagrams are described above with reference to the figures, otherimplementations may be employed. For example, the order of execution ofthe components, elements, blocks and/or other functionality may bechanged, and/or some of the components, elements, blocks and/or otherfunctionality described may be changed, eliminated, sub-divided, orcombined. Additionally, any or all of the components, elements, blocks,and/or other functionality may be performed sequentially and/or inparallel by, for example, separate processing threads, processors,devices, discrete logic, and/or circuits.

While embodiments have been disclosed, various changes may be made andequivalents may be substituted. In addition, many modifications may bemade to adapt a particular situation or material. Therefore, it isintended that the disclosed technology not be limited to the particularembodiments disclosed, but will include all embodiments falling withinthe scope of the appended claims.

What is claimed is:
 1. A method including: monitoring by a deploymentand execution manager in an electronic trading system operatingcondition data, wherein the operating condition data includes at leastone of CPU load of an algorithm server and memory usage of the algorithmserver; receiving by the deployment and execution manager a firstoperating condition rule, wherein the first operating condition rulespecifies a deployment condition that is applied to the operatingcondition data, wherein the deployment condition is associated with atleast one of the CPU load of the algorithm server and the memory usageof the algorithm server; receiving by the deployment and executionmanager a command to initiate execution of a trading algorithm;detecting by the deployment and execution manager, in response to themonitoring, ref an occurrence of a first favorable condition at a firsttime based on the in the first operating condition rule associated withthe trading algorithm, wherein the deployment condition specified in thefirst operating condition rule is applied to and the operating conditiondata; and sending by the deployment and execution manager, in responseto detecting the occurrence of the first favorable condition, a commandto set a deployment flag to a trading device in the electronic tradingsystem to indicate to the trading device approval to deploy the tradingalgorithm to the algorithm server in the electronic trading system inresponse to the trading device receiving the command to initiateexecution of the trading algorithm, wherein the trading algorithm isconfigured to send trading actions to an electronic exchange in theelectronic trading system.
 2. The method of claim 1, wherein themonitoring is one of continuous, periodic, and aperiodic.
 3. The methodof claim 1, wherein the operating condition data includes data from atleast one of the electronic exchange and the algorithm server.
 4. Themethod of claim 1, wherein the operating condition data further includesat least one of market data, processor data, system data, data from aclock, data from a news feed, an exchange matching engine turnaroundtime, order routing turnaround time, volatility in a market, andquantity available in a market.
 5. The method of claim 1, furtherincluding: detecting by the deployment and execution manager, inresponse to the monitoring, an occurrence of a second favorablecondition at a second time based on a second operating condition ruleassociated with the trading algorithm, wherein the second operatingcondition rule specifies an execution condition that is applied to theoperating condition data, wherein the second time is later than thefirst time; sending by the deployment and execution manager, in responseto detecting the occurrence of the second favorable condition, a firstcommand to set an execution flag to the algorithm serve to indicate tothe algorithm server approval to execute the trading algorithm inresponse to the trading algorithm being deployed by the trading deviceto the algorithm server, wherein the algorithm server executes thetrading algorithm in response to the trading algorithm being deployed bythe trading device to the algorithm server; detecting by the deploymentand execution manager, in response to the monitoring, an occurrence of afirst unfavorable condition at a third time based on a third operatingcondition rule associated with the trading algorithm, wherein the thirdoperating condition rule specifies an execution condition that isapplied to the operating condition data, wherein the third time is laterthan the second time; and sending by the deployment and executionmanager, in response to detecting the occurrence of the firstunfavorable condition, a second command to set the execution flag to thealgorithm server to indicate to the algorithm server execution of thetrading algorithm should be limited, wherein the algorithm server limitsthe execution of the trading algorithm in response to receiving thesecond command to set the execution flag.
 6. The method of claim 5,wherein the second operating condition rule is the same as the thirdoperating condition rule.
 7. The method of claim 5, wherein the secondoperating condition rule is different than the third operating conditionrule.
 8. The method of claim 5, wherein at least one of the firstoperating condition rule, the second operating condition rule, and thethird operating condition rule is defined using logic expressions andparameters.
 9. The method of claim 5, wherein at least one of the firstoperating condition rule, the second operating condition rule, and thethird operating condition rule is received from a user via a userinterface at the trading device.
 10. The method of claim 5, wherein atleast one of the first operating condition rule, the second operatingcondition rule, and the third operating condition rule is received froma user via a user interface at the deployment and execution manager. 11.The method of claim 5, wherein detecting at least one of the firstfavorable condition, the second favorable condition, and the firstunfavorable condition is further based on a trade action the tradingalgorithm is configured to send.
 12. The method of claim 5, wherein thealgorithm server limits the execution of the trading algorithm bystopping the trading algorithm.
 13. The method of claim 5, wherein thealgorithm server limits the execution of the trading algorithm byblocking the trading algorithm from adding to an open position.
 14. Themethod of claim 5, wherein the algorithm server limits the execution ofthe trading algorithm by blocking the trading algorithm from opening anew position.
 15. The method of claim 5, wherein the algorithm serverlimits the execution of the trading algorithm by permitting the tradingalgorithm to only at least one of close an open position and hedge anopen position.